Fields of Specialization
Mathematical Finance (stock, option, bond, ETF, pricing, investment), Stochastic Process (path-dependent analysis, BSDE, G-expectation), Stochastic Optimal Controls
Publications/Working Papers
Wonjae Lee, Taeyoung Kim, Hyungbin Park. Fourier neural operators for non-Markovian processes: approximation theorems and experiments. Manuscript. Arxiv
Jaehyun Kim, Hyungbin Park. Designing funding rates for perpetual futures in cryptocurrency markets. Manuscript. Arxiv
Jaehyun Kim, Hyungbin Park. A G-BSDE approach to the long-term decomposition of robust pricing kernels. Manuscript under revision at Annals of Applied Probability. Arxiv
Jaehyun Kim, Hyungbin Park, Jonghwa Park. Pricing and hedging short-maturity Asian options in local volatility models. Manuscript under revision at Quantitative Finance. Arxiv
Heejun Yeo, Hyungbin Park. Dynamic and static fund separations and their stability for long-term optimal investments. Manuscript under minor revision at Mathematical Finance. Arxiv
Kiseop Lee, Seongje Lim, Hyungbin Park. Option pricing under path-dependent stock models. Manuscript. Arxiv
Jiuk Jang, Hyungbin Park. A discretization scheme for path-dependent FBSDEs. Manuscript. Arxiv
Hyungbin Park. A representative agent model based on risk-neutral prices. Manuscript. Arxiv
Hyungbin Park, Stephan Sturm. A sensitivity analysis of long-term expected utility of optimal portfolios. Manuscript. Arxiv
Tim Leung, Hyungbin Park, Heejun Yeo. Robust long-term growth rate of expected utility for leveraged ETFs. Mathematics and Financial Economics (2024) Journal link
Seunghyun Lee, Hyungbin Park. Conditions for bubbles to arise under heterogeneous beliefs. Feature article. Quantitative Finance (2022) Journal link
Hyungbin Park. Influence of risk tolerance on long-term investments: A Malliavin calculus approach. Stochastics: An International Journal of Probability and Stochastic Processes (2022) Journal link
Hyungbin Park. Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition. Mathematics and Financial Economics (2022) Journal link
Hyungbin Park. Sensitivity analysis of long-term cash flows. Finance and Stochastics, Vol. 22 (4), 773-825 (2018) Journal link
Zhenyu Cui, Duy Nguyen, Hyungbin Park. An integral representation for elasticity and sensitivity for stochastic volatility models. Mathematics and Financial Economics, Vol 12 (2), 249-274 (2018) Journal link
Tim Leung, Hyungbin Park. Long-term growth rate of expected utility for leveraged ETFs. International Journal of Theoretical and Applied Finance, Vol. 20 (6) (2017) Journal link
Hyungbin Park. Ross recovery with recurrent and transient processes. Feature article. Quantitative Finance, Vol. 16 (5), 667-676 (2016) Journal link